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The price of going green: the role of greenness in green bond markets

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  • Suk Hyun
  • Donghyun Park
  • Shu Tian

Abstract

In this paper, we empirically investigate how greenness information is priced in the green bond market. Our comparison of liquidity‐adjusted yield premiums of green bonds versus synthetic conventional bonds indicates that, on average, there is no robust and significant yield premium or discount on green bonds. However, green bonds certified by an external reviewer enjoy a discount of about 6 bps. Furthermore, green bonds that obtain a Climate Bonds Initiative certificate show a discount of around 15 bps. The findings suggest that a universally accepted greenness measure can benefit the development of the green bond market.

Suggested Citation

  • Suk Hyun & Donghyun Park & Shu Tian, 2020. "The price of going green: the role of greenness in green bond markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(1), pages 73-95, March.
    • Handle: RePEc:bla:acctfi:v:60:y:2020:i:1:p:73-95
    DOI: 10.1111/acfi.12515
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